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Contribution Details

Type Working Paper
Scope Discipline-based scholarship
Title Higher bank capital requirements and mortgage pricing: evidence from the Counter-Cyclical Capital Buffer
Organization Unit
  • Christoph Basten
  • Cathérine Koch
  • English
Institution University of Zurich
Series Name Working paper series / Department of Economics
Number 169
ISSN 1664-7041
Number of Pages 59
Date 2014
Abstract Text We examine mortgage pricing before and after Switzerland was the first country to activate the Counter-Cyclical Capital Buffer of Basel III. Observing multiple mortgage offers per request, we obtain three core findings. First, capitalconstrained and mortgage-specialized banks raise their rates relatively more. Second, risk-weighting schemes supposed to discriminate against more risky borrowers do not amplify the effect of higher capital requirements. Third, CCB-subjected banks and CCB-exempt insurers raise mortgage rates, but insurers raise rates by on average 8.8 bp more. To conclude, lenders welcome the opportunity to increase mortgage rates, but stricter capital requirements do not discourage banks from risky mortgage lending.
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Keywords Bank lending, mortgage market, Immobilienmarkt, Kredit, Kreditmarkt, Hypothek, Hypothekenzins, Eigenkapital, Regulierung